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The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade

The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade »

Source: The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade

Volume/Issue: 1990/109

Series: IMF Working Papers

Author(s): Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451946055

Keywords: capital controls, capital stock, probability distribution, domestic capital, standard deviation

A dynamic stochastic equilibrium model of a small open economy is used to quantify the macroeconomic effects of introducing capital controls to stabilize the balance of trade. This model focuses on the role of inte...

A Perspectiveon Predicting Currency Crises

A Perspectiveon Predicting Currency Crises »

Source: A Perspectiveon Predicting Currency Crises

Volume/Issue: 2010/227

Series: IMF Working Papers

Author(s): Robert Flood , Juan Yepez , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

ISBN: 9781455208920

Keywords: Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation,

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment des...

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »

Source: A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Volume/Issue: 2010/181

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202157

Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...

The Location of Domestic and Foreign Production Affiliates by French Multinational Firms1

The Location of Domestic and Foreign Production Affiliates by French Multinational Firms1 »

Source: The Location of Domestic and Foreign Production Affiliates by French Multinational Firms

Volume/Issue: 2010/22

Series: IMF Working Papers

Author(s): Isabelle Mejean , Thierry Mayer , and Benjamin Nefussi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451962345

Keywords: Location choice, Multinational firms, Conditional logit model, fdi, probability, market access, foreign investments, standard deviation,

Economists interested in location choices usually focus their attention on investments abroad. This neglects the fact that multinational enterprises continue to invest domestically while undertaking foreign expansi...

Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets »

Source: Estimating a Structural Model of Herd Behavior in Financial Markets

Volume/Issue: 2010/288

Series: IMF Working Papers

Author(s): Antonio Guarino , and Marco Cipriani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455211692

Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...

A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon »

Source: A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

Volume/Issue: 2008/97

Series: IMF Working Papers

Author(s): E. Gardner , and Julian Di Giovanni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869583

Keywords: Public debt sustainability, risk analysis, Monte Carlo, fan charts, debt sustainability, debt ratio, covariance, probability, standard deviation,

This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives "fan charts" to depict the probability distribution of the government debt to GDP ratio u...

The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade

The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade »

Volume/Issue: 1990/109

Series: IMF Working Papers

Author(s): Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

DOI: http://dx.doi.org/10.5089/9781451946055.001

ISBN: 9781451946055

Keywords: capital controls, capital stock, probability distribution, domestic capital, standard deviation

A dynamic stochastic equilibrium model of a small open economy is used to quantify the macroeconomic effects of introducing capital controls to stabilize the balance of trade. This model focuses on the role of inte...

A Perspectiveon Predicting Currency Crises

A Perspectiveon Predicting Currency Crises »

Volume/Issue: 2010/227

Series: IMF Working Papers

Author(s): Robert Flood , Juan Yepez , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

DOI: http://dx.doi.org/10.5089/9781455208920.001

ISBN: 9781455208920

Keywords: Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation,

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment des...

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »

Volume/Issue: 2010/181

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202157.001

ISBN: 9781455202157

Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...

The Location of Domestic and Foreign Production Affiliates by French Multinational Firms

The Location of Domestic and Foreign Production Affiliates by French Multinational Firms »

Volume/Issue: 2010/22

Series: IMF Working Papers

Author(s): Isabelle Mejean , Thierry Mayer , and Benjamin Nefussi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

DOI: http://dx.doi.org/10.5089/9781451962345.001

ISBN: 9781451962345

Keywords: Location choice, Multinational firms, Conditional logit model, fdi, probability, market access, foreign investments, standard deviation,

Economists interested in location choices usually focus their attention on investments abroad. This neglects the fact that multinational enterprises continue to invest domestically while undertaking foreign expansi...